Dennis Dannenburg

affiliation not provided to SSRN

No Address Available

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Scholarly Papers (1)

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Volatility Clustering in Monthly Stock Returns

Journal of Empirical Finance, Vol. 10, No. 4, 2003
Posted: 25 Sep 2007
Ben Jacobsen and Dennis Dannenburg
Tilburg University - TIAS School for Business and Society and affiliation not provided to SSRN

Abstract:

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Stock returns, GARCH, Volatility clustering, Temporal aggregation